53 citations · 56 across the 12 of their papers we have counts for
Showing 2016Show all
2 papers · 1 filter
math.PR2016
On long term investment optimality
Anatolii A. Puhalskii
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming…
math.PR2016
On minimising a portfolio's shortfall probability
Anatolii A. Puhalskii, Michael Jay Stutzer
We obtain a lower asymptotic bound on the decay rate of the probability of a portfolio's underperformance against a benchmark over a large time horizon. It is assumed that the pric…